Map Tools | Layer Tools | Export ContoursThis command will export only the contour lines. One benefit to exporting the contours in this way is that you don't have to turn off extra layers, axes, or other objects. This command is useful if you want a 3D SHP file, where each vertex in the SHP has a Z value associated with it (instead of a single Z value for each line feature).

File | ExportThis command will export all objects (or all selected objects) in a plot window. It is useful if you want a file containing text labels, line colors, or other objects in addition to the Z value. For example, to export a color-filled contour map to a SHP file (or a 3D DXF) with Z values saved to the DBF for each contour polyline, use File | Export.